The following information is about a hypothetical government security dealer named M.P. Jorgan. Market yields are in parenthesis, and amounts are in millions. Assets Liabilities and Equity Cash $20 Overnight repos $210 1-month T-bills (7.05%) 80 3 month CD 70 3-month T-bills (7.25%) 95 7-year fixed rate (8.55%) 260 2-year T-notes (7.50%) 100 Subordinated debt 8-year T-notes (8.96%) 200 5-year munis (floating rate) (8.20% reset every 6 months) 105 Equity 60 Total assets $600 Total liabilities & equity $600 The following one-year runoffs are expected: $10 million for two-year T-notes and $20 million for eight-year T-notes. What is the one-year repricing gap? Question: If runoffs are considered, what is the effect on net interest income at year-end if interest rates rise 50 basis points?
The following information is about a hypothetical government security dealer named M.P. Jorgan. Market yields are in parenthesis, and amounts are in millions.
Assets Liabilities and Equity
Cash $20 Overnight repos $210
1-month T-bills (7.05%) 80 3 month CD 70
3-month T-bills (7.25%) 95 7-year fixed rate (8.55%) 260
2-year T-notes (7.50%) 100 Subordinated debt
8-year T-notes (8.96%) 200
5-year munis (floating rate)
(8.20% reset every 6 months) 105 Equity 60
Total assets $600 Total liabilities & equity $600
The following one-year runoffs are expected: $10 million for two-year T-notes and $20 million for eight-year T-notes. What is the one-year repricing gap?
Question: If runoffs are considered, what is the effect on net interest income at year-end if interest rates rise 50 basis points?
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